|
List Of Quantitative Analysts
This is a list of ''notable'' quantitative analysts (by ''surname''); see also § Seminal publications there, and List of financial economists. Pioneers * Kenneth Arrow, (1921–2017), American economist, Social choice theory. * Louis Bachelier, (1870–1946), French mathematician, Pioneer of financial mathematics. * Jacob Bernoulli, (1654–1705), Swiss mathematician, discovered the mathematical constant {{math, ''e'' while studying Compound interest. * Fischer Black, (1938–1995), American economist, famous for Black–Scholes equation. * Michael Brennan, (born 1942), co-designed the Brennan-Schwartz interest rate model, and pioneer of real options theory. * Vinzenz Bronzin (1872–1970), Italian mathematics professor; published option pricing formulae in 1908, as well as a formulation of put–call parity. * Phelim Boyle, (born 1941), (Irish physicist), initiated the use of Monte Carlo methods and Trinomial trees in option pricing. * John Carrington Cox, (born 1943), o ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Quantitative Analyst
Quantitative analysis is the use of mathematical and statistical methods in finance and investment management. Those working in the field are quantitative analysts (quants). Quants tend to specialize in specific areas which may include derivative structuring or pricing, risk management, investment management and other related finance occupations. The occupation is similar to those in industrial mathematics in other industries. The process usually consists of searching vast databases for patterns, such as correlations among liquid assets or price-movement patterns (trend following or reversion). Although the original quantitative analysts were "sell side quants" from market maker firms, concerned with derivatives pricing and risk management, the meaning of the term has expanded over time to include those individuals involved in almost any application of mathematical finance, including the buy side. Applied quantitative analysis is commonly associated with quantitative investment m ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Monte Carlo Method
Monte Carlo methods, or Monte Carlo experiments, are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. The underlying concept is to use randomness to solve problems that might be deterministic in principle. The name comes from the Monte Carlo Casino in Monaco, where the primary developer of the method, mathematician Stanisław Ulam, was inspired by his uncle's gambling habits. Monte Carlo methods are mainly used in three distinct problem classes: optimization, numerical integration, and generating draws from a probability distribution. They can also be used to model phenomena with significant uncertainty in inputs, such as calculating the risk of a nuclear power plant failure. Monte Carlo methods are often implemented using computer simulations, and they can provide approximate solutions to problems that are otherwise intractable or too complex to analyze mathematically. Monte Carlo methods are widely used in va ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Benjamin Graham
Benjamin Graham (; Given name, né Grossbaum; May 9, 1894 – September 21, 1976) was a British-born American financial analyst, economist, accountant, investor and professor. He is widely known as the "father of value investing", and wrote two of the discipline's founding texts: Security Analysis (book), ''Security Analysis'' (1934) with David Dodd, and ''The Intelligent Investor'' (1949). His investment philosophy stressed independent thinking, emotional detachment, and careful security analysis, emphasizing the importance of distinguishing the price of a stock from the value of its underlying business. After graduating from Columbia University at age 20, Graham started his career on Wall Street, eventually founding Graham–Newman Corp., a successful mutual fund. He also taught investing for many years at Columbia Business School, where one of his students was Warren Buffett. Graham later taught at the UCLA Anderson School of Management, Anderson School of Management at the Un ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Victor Glushkov
Victor Mikhailovich Glushkov (; August 24, 1923 – January 30, 1982) was a Soviet computer scientist. He is considered to be the founding father of information technology in the Soviet Union and one of the founding fathers Soviet cybernetics. Biography He was born in Rostov-on-Don, Russian SFSR, in the family of a mining engineer. Glushkov graduated from Rostov State University in 1948, and in 1952 proposed solutions to Hilbert's fifth problem and defended his thesis at Moscow State University. In 1956, he began working with computers and worked in Kiev as a Director of the Computational Center of the Academy of Science of Ukraine. In 1958, he became a member of the Communist Party. In 1962, Glushkov established the famous Institute of Cybernetics of the National Academy of Science of Ukraine and became its first director. He made contributions to the theory of automata. He and his followers (Kapitonova, Letichevskiy and others) successfully applied that theory to enhance ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Nobel Memorial Prize In Economic Sciences
The Nobel Memorial Prize in Economic Sciences, officially the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel (), commonly referred to as the Nobel Prize in Economics(), is an award in the field of economic sciences administered by the Nobel Foundation, established in 1968 by Sveriges Riksbank (Sweden's central bank) to celebrate its 300th anniversary and in memory of Alfred Nobel. Although the Prize in Economic Sciences was not one of the original five Nobel Prizes established by Alfred Nobel's will, it is considered a member of the Nobel Prize system, and is administered and referred to along with the Nobel Prizes by the Nobel Foundation. Winners of the Prize in Economic Sciences are chosen in a similar manner to and announced alongside the Nobel Prize recipients, and receive the Prize in Economic Sciences at the Nobel Prize Award Ceremony. The laureates of the Prize in Economic Sciences are selected by the Royal Swedish Academy of Sciences, which ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Portfolio Theory
Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk. It is a formalization and extension of Diversification (finance), diversification in investing, the idea that owning different kinds of financial assets is less risky than owning only one type. Its key insight is that an asset's risk and return should not be assessed by itself, but by how it contributes to a portfolio's overall risk and return. The variance of return (or its transformation, the standard deviation) is used as a measure of risk, because it is tractable when assets are combined into portfolios. Often, the historical variance and covariance of returns is used as a proxy for the forward-looking versions of these quantities, but other, more sophisticated methods are available. Economist Harry Markowitz introduced MPT in a 1952 paper, for which he was later awarded a Nobel Memorial ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Eugene Fama
Eugene Francis "Gene" Fama (; born February 14, 1939) is an American economist, best known for his empirical work on portfolio theory, asset pricing, and the efficient-market hypothesis. He is currently Robert R. McCormick Distinguished Service Professor of Finance at the University of Chicago Booth School of Business. In 2013, he shared the Nobel Memorial Prize in Economic Sciences jointly with Robert J. Shiller and Lars Peter Hansen. The Research Papers in Economics project ranked him as the 9th-most influential economist of all time based on his academic contributions, . He is regarded as "the father of modern finance", as his works built the foundation of financial economics and have been cited widely. Early life and undergraduate education Fama was born in Boston, Massachusetts, the son of Angelina (née Sarraceno) and Francis Fama. All of his grandparents were immigrants from Italy. Fama is a Malden Catholic High School Athletic Hall of Fame honoree. He earned his unde ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Richard Arnold Epstein
Richard Arnold Epstein (March 5, 1927 in Los Angeles, California – July 5, 2016), also known under the pseudonym E. P. Stein, was an American game theorist. Education Epstein obtained his Bachelor of Arts degree from the University of California, Los Angeles, in 1948. He then studied at the University of California Berkeley. He received his doctorate in physics, on the Born formalization of isochromatic lines, in 1961, from the University of Barcelona. Career He then shifted from spectroscopy to space communications, and worked for eighteen years as an electronics and communications engineer for various U.S. space and missile programs. He was variously employed by Parsons-Aerojet Company at Cape Canaveral, Glenn L. Martin Company, TRW Space Technology Laboratories, the Jet Propulsion Laboratory, and Hughes Aircraft Space Systems Division. Epstein has numerous technical publications in the areas of probability theory, statistics, game theory, and space communications. In 19 ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Black–Derman–Toy Model
In mathematical finance Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling in the financial field. In general, there exist two separate branches of finance that req ..., the Black–Derman–Toy model (BDT) is a popular short-rate model used in the pricing of bond options, swaptions and other interest rate derivatives; see . It is a one-factor model; that is, a single stochastic factor—the short rate—determines the future evolution of all interest rates. It was the first model to combine the mean reversion (finance), mean-reverting behaviour of the short rate with the log-normal distribution, and is still widely used. History The model was introduced by Fischer Black, Emanuel Derman, and Bill Toy. It was first developed for in-house use by Goldman Sachs in the 1980s and was published in the ''Financial Analysts Journal'' in 1990. A personal account of the development o ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Emanuel Derman
Emanuel Derman (born 1945) is a South African-born academic, businessman and writer. He is best known as a quantitative analyst, and author of the book ''My Life as a Quant: Reflections on Physics and Finance''. He is a co-author of Black–Derman–Toy model, one of the first interest-rate models, and the Derman–Kani local volatility or implied tree model, a model consistent with the volatility smile. Derman, who first came to the U.S. at age 21, in 1966, is currently a professor at Columbia University and Director of its program in financial engineering. Until recently he was also the Head of Risk and a partner at KKR Prisma Capital Partners, a fund of funds. His book ''My Life as a Quant: Reflections on Physics and Finance'', published by Wiley in September 2004, was one of Business Week's top ten books of the year for 2004. In 2011, he published ''Models.Behaving.Badly'', a book contrasting financial models with the theories of hard science, and also containing some ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Cox-Ross-Rubinstein Model
In finance, the binomial options pricing model (BOPM) provides a generalizable numerical method for the valuation of options. Essentially, the model uses a "discrete-time" ( lattice based) model of the varying price over time of the underlying financial instrument, addressing cases where the closed-form Black–Scholes formula is wanting, which in general does not exist for the BOPM. The binomial model was first proposed by William Sharpe in the 1978 edition of ''Investments'' (), and formalized by Cox, Ross and Rubinstein in 1979 and by Rendleman and Bartter in that same year. For binomial trees as applied to fixed income and interest rate derivatives see . Use of the model The Binomial options pricing model approach has been widely used since it is able to handle a variety of conditions for which other models cannot easily be applied. This is largely because the BOPM is based on the description of an underlying instrument over a period of time rather than a single point. ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
